Developing new portfolio strategies by aggregation
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Publication:827154
DOI10.1007/s10479-019-03207-0zbMath1470.91236WikidataQ128096136 ScholiaQ128096136MaRDI QIDQ827154
Sandra Paterlini, Giovanni Bonaccolto
Publication date: 6 January 2021
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-019-03207-0
91G10: Portfolio theory
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Uses Software
Cites Work
- A well-conditioned estimator for large-dimensional covariance matrices
- Computing efficient frontiers using estimated parameters
- Resampling methods for dependent data
- Aggregating regression procedures to improve performance
- Combining different procedures for adaptive regression
- The Stationary Bootstrap
- Universal Portfolios
- Adaptive Regression by Mixing
- Empirical properties of asset returns: stylized facts and statistical issues
- Online portfolio selection